Consistent co‐trending rank selection when both stochastic and non‐linear deterministic trends are present

DOI10.1111/J.1368-423X.2012.00392.XOpenAlexW2102773240MaRDI QIDQ5093219

Mototsugu Shintani, Zheng-Feng Guo

Publication date: 26 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2012.00392.x

zbMATH Keywords

cointegrating rankvon Neumann ratiotrend breakssmooth transition trend model

Mathematics Subject Classification ID

Statistics (62-XX)

This page was built for publication: Consistent co‐trending rank selection when both stochastic and non‐linear deterministic trends are present